A note on the Smoluchowski-Kramers approximation for the Langevin equation with reflection

被引:8
|
作者
Spiliopoulos, Konstantinos [1 ]
机构
[1] Univ Maryland, Dept Math, College Pk, MD 20770 USA
关键词
Smoluchowski-Kramers approximation; reflection; langevin equation; Skorohod reflection problem;
D O I
10.1142/S0219493707002001
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
According to the Smoluchowski-Kramers approximation, the solution of the equation mu<q(t)(mu) = b(q(t)(mu)) - (q)over dot(t)(mu) + Sigma(q(t)(mu))(W)over dot(t), q(0)(mu) = q, (q)over dot(0)(mu) = p converges to the solution of the equation. (q)over dot(t) = b(q(t)) + Sigma(q(t))(W)over dot(t), q(0) = q as mu --> 0. We consider here a similar result for the Langevin process with elastic reflection on the boundary.
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页码:141 / 152
页数:12
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